I always put a bit of chapstick on my cotton string, right where the string comes in contact with the axle. For me it seems to make the yo-yo more consistent with its response.
I believe if you buy an Orphan, it will have had wax on the axle, because Jensen puts in on the string when he tests them.
IMO, this is totally user preference.
I will say I think I may have ruined the response on couple of my fixed axle throws. My Play Simply No-Jive and my 2016 EH, don’t seem to respond very well. However, I have every axle for the EH, and I can’t seem to get it to work with any of them, wax or no wax. I’ll have to try a new axle in the No-Jive.
Maybe it’s best to try first without wax, and to try it if you’re not getting it to play the way you want?